Essays about: "Johannes Solheim Karlsson"

Found 1 essay containing the words Johannes Solheim Karlsson.

  1. 1. Practical estimation of Value at Risk and Expected Shortfall: Are complex methods really necessary?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henning Zakrisson; Johannes Solheim Karlsson; [2016]
    Keywords : GARCH; Value at Risk; Expected Shortfall; Parametric estimation; Historical simulation; Business and Economics;

    Abstract : This paper tests the parametric estimation method for Value at Risk and Expected Shortfall estimation together with the historical simulation method to find out if the historical simulation could yield accurate enough estimations in stormy and calm periods. Given that the parametric estimation proved superior, the thesis examines which volatility forecasting models, using which distribution assumptions, would yield the best estimations. READ MORE